Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.9 +7.1%
- Euro/Yen Carry Return Index 125.80 +.51%
- Emerging Markets Currency Volatility(VXY) 7.1 +1.2%
- S&P 500 Implied Correlation 34.1 +5.5%
- ISE Sentiment Index 101.0 +11.0%
- Total Put/Call .73 +2.8%
- NYSE Arms 1.22 +22.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.74 +1.62%
- America Energy Sector High-Yield CDS Index 525.0 -18.8%
- European Financial Sector CDS Index 55.05 +2.73%
- Italian/German 10Y Yld Spread 188.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 57.66 -3.0%
- Emerging Market CDS Index 156.44 +.23%
- iBoxx Offshore RMB China Corporate High Yield Index 164.94 -.03%
- 2-Year Swap Spread 1.75 -1.5 basis points
- TED Spread 18.75 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -22.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.37 -.20%
- 3-Month T-Bill Yield 2.11% +3.0 basis points
- Yield Curve 22.0 -1.0 basis point
- China Iron Ore Spot 112.68 USD/Metric Tonne +.09%
- Citi US Economic Surprise Index -40.6 +9.7 points
- Citi Eurozone Economic Surprise Index -39.80 -6.8 points
- Citi Emerging Markets Economic Surprise Index -21.7 +.5 point
- 10-Year TIPS Spread 1.80 +1.0 basis point
- 100.0% chance of Fed rate cut at Sept. 18th meeting, 100.0% chance of cut at October 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -106 open in Japan
- China A50 Futures: Indicating -80 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Lower: On losses in my tech/medical/retail/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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